Machine Room · MX-016
He ran the model that said maximum loss was $35 million. In August 1998, they lost $120 million in a day.
In August 1998, Meridian Capital’s model predicted a maximum loss of just $38.2 million, yet the firm actually lost $461 million in a single day. The discrepancy was rooted in historical correlations, which failed to predict the market’s reaction to Russia’s debt default.
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